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Quick and Dirty EOD

  • #241
  • Jul 23, 2012 10:24pm Jul 23, 2012 10:24pm
I attached a chart of what I was looking for in doing my backtest of the tweaked entry. Just sell after the close of the signal candle marked with the yellow arrow. The stop is 1 pip above the signal candle high plus spread. The take profit is 200 pips. Like I said before, this is very simplistic and mechanical. There is lots of room for improvement and discretion.
Attached Image (click to enlarge)
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  • #242
  • Jul 24, 2012 12:12am Jul 24, 2012 12:12am
Quoting Wendavol
I attached a chart of what I was looking for in doing my backtest of the tweaked entry. Just sell after the close of the signal candle marked with the yellow arrow. The stop is 1 pip above the signal candle high plus spread. The take profit is 200 pips. Like I said before, this is very simplistic and mechanical. There is lots of room for improvement and discretion.
It appears to me that you are taking trades on that chart even when the smaller moving averages have crossed?
  • #243
  • Jul 24, 2012 6:53am Jul 24, 2012 6:53am
Crap, 6 pending pairs set up during the middle of the Asian session, they go through the London session, and not one trade hit. I will wait and trade the Greek drachna!!! Oh well, maybe one of these will get hit during the NY session. I guess this is where the patience thing comes in.
  • #244
  • Jul 24, 2012 7:05am Jul 24, 2012 7:05am
Quoting spyderman
You can convert it manually multiplying the 5 & 8 daily by 21 or 22 respectively, but I found that it comes out a bit different from the actual 5 & 8 on the monthly chart.

So I found this MTF Moving average indicator that I use. Just place it on the daily, set the TF (in hours) that you want it to read (43200 for the monthly and set the type and method and your set.

Here's my input screens and indicator.
Thanks
  • #245
  • Jul 24, 2012 7:24am Jul 24, 2012 7:24am
Quoting piprac
Crap, 6 pending pairs set up during the middle of the Asian session, they go through the London session, and not one trade hit. I will wait and trade the Greek drachna!!! Oh well, maybe one of these will get hit during the NY session. I guess this is where the patience thing comes in.

Yeah, I've got 7 pendings myself. Good news is my open orders gained some steam over the night.
  • #246
  • Jul 24, 2012 7:27am Jul 24, 2012 7:27am
Quoting spyderman
Yeah, I've got 7 pendings myself. Good news is my open orders gained some steam over the night.
What pairs? :/
  • #247
  • Jul 24, 2012 7:32am Jul 24, 2012 7:32am
Quoting Konata
What pairs? :/
a/c
a/f
c/f
e/a
e/c
e/g
g/f

Watch out. There's correlation in there.
  • #248
  • Jul 24, 2012 8:08am Jul 24, 2012 8:08am
Quoting spyderman
a/c
a/f
c/f
e/a
e/c
e/g
g/f

Watch out. There's correlation in there.
Ah, these are not major pairs right? ^^"
  • #249
  • Jul 24, 2012 8:26am Jul 24, 2012 8:26am
Quoting Wendavol
I attached a chart of what I was looking for in doing my backtest of the tweaked entry. Just sell after the close of the signal candle marked with the yellow arrow. The stop is 1 pip above the signal candle high plus spread. The take profit is 200 pips. Like I said before, this is very simplistic and mechanical. There is lots of room for improvement and discretion.
Attachment

Wendavol,

Thanks for the chart. I must not be understanding your entry. I took the chart and tried to take the entries as I under stand them. I came up with 10 losses (grey boxes) and only 5 wins (blue boxes).

That's assuming entering immediately at the open following an opposite bar with the stop above the high of the signal bar. Only taking entries when 5 is below 8.

A couple of the "winners" look like they might have hit s/l before tp.

Maybe I'm missing something important.
Attached Image (click to enlarge)
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  • #250
  • Jul 24, 2012 8:30am Jul 24, 2012 8:30am
Quoting Konata
Ah, these are not major pairs right? ^^"
Depends how you classify "Majors". No US crosses, but I trade all pairs that offer decent movement (i.e. no eur/chf) with decent spreads.
  • #251
  • Jul 24, 2012 8:39am Jul 24, 2012 8:39am
Quoting spyderman
Wendavol,

Thanks for the chart. I must not be understanding your entry. I took the chart and tried to take the entries as I under stand them. I came up with 10 losses (grey boxes) and only 5 wins (blue boxes).

That's assuming entering immediately at the open following an opposite bar with the stop above the high of the signal bar. Only taking entries when 5 is below 8.

A couple of the "winners" look like they might have hit s/l before tp.

Maybe I'm missing something important.
That was my observation as well.......
  • #252
  • Jul 24, 2012 9:26am Jul 24, 2012 9:26am
Quoting tradestar1
That was my observation as well.......
Yep, I'm liking the original idea better for the moment.
  • #253
  • Jul 24, 2012 9:36am Jul 24, 2012 9:36am
Quoting Hugh Briss
Yep, I'm liking the original idea better for the moment.

It just highlights the beauty of your original idea. Stall at support, broken later to resume the trend.

Here's the same chart with original entries. Only 5 entries, but they all either hit TP or are still in play.

That fourth one was kind of weird. No immediate entry, but it came back a month and a half later and made a new entry point at the same location.

Attached Image (click to enlarge)
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  • #254
  • Jul 24, 2012 9:42am Jul 24, 2012 9:42am
I added a few more that may have been taken. Kinda depends on your entry criteria with the ema's bouncing up and down.

3 wins, 2 losses.
Attached Image (click to enlarge)
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  • #255
  • Jul 24, 2012 9:45am Jul 24, 2012 9:45am
Quoting spyderman
I added a few more that may have been taken. Kinda depends on your entry criteria with the ema's bouncing up and down.

3 wins, 2 losses.

Which brings up a good point Hugh. How long do you think we should wait for the signal bar to be broken before invalidating the trade.

My initial thought is leave the pending there (as that is the lowest low) vs. abandoning it and taking a later setup higher up.

On that chart if we only took the LL we wouldn't have been in the trade on those 2 losses & 3 wins....

Now if we get a monthly cross it would of course seem to reset the whole thing.
  • #256
  • Jul 24, 2012 9:47am Jul 24, 2012 9:47am
Quoting Hugh Briss
It appears to me that you are taking trades on that chart even when the smaller moving averages have crossed?
No, I am only concerned with the moving averages as they appear on the middle of the signal candle. If the moving averages are touching at the center of the candle, then I do not take the trade.
  • #257
  • Jul 24, 2012 10:00am Jul 24, 2012 10:00am
Quoting spyderman
Wendavol,

Thanks for the chart. I must not be understanding your entry. I took the chart and tried to take the entries as I under stand them. I came up with 10 losses (grey boxes) and only 5 wins (blue boxes).

That's assuming entering immediately at the open following an opposite bar with the stop above the high of the signal bar. Only taking entries when 5 is below 8.

A couple of the "winners" look like they might have hit s/l before tp.

Maybe I'm missing something important.
Ok, here's a list of the backtest trades from this chart:

5/8/12 Sell 1.30495, profit 1.28495, +200.0 pips
5/11/12 Sell 1.2935, profit 1.2735, +200.0 pips
5/21/12 Sell 1.27625, stopped 1.27961, -33.6 pips
5/22/12 Sell 1.28154, profit 1.26154, +200.0 pips
6/4/12 Sell 1.24151, stopped 1.2461, -45.9 pips
6/5/12 Sell 1.24977, stopped 1.25121, -14.4 pips
6/13/12 Sell 1.25017, stopped 1.25312, -29.5 pips
6/25/12 Sell 1.2548, stopped 1.25857, -37.7 pips

My backtest stopped at the end of June. There are obviously some losers starting in July.
  • #258
  • Jul 24, 2012 10:13am Jul 24, 2012 10:13am
Quoting Wendavol
Ok, here's a list of the backtest trades from this chart:

5/8/12 Sell 1.30495, profit 1.28495, +200.0 pips
5/11/12 Sell 1.2935, profit 1.2735, +200.0 pips
5/21/12 Sell 1.27625, stopped 1.27961, -33.6 pips
5/22/12 Sell 1.28154, profit 1.26154, +200.0 pips
6/4/12 Sell 1.24151, stopped 1.2461, -45.9 pips
6/5/12 Sell 1.24977, stopped 1.25121, -14.4 pips
6/13/12 Sell 1.25017, stopped 1.25312, -29.5 pips
6/25/12 Sell 1.2548, stopped 1.25857, -37.7 pips

My backtest stopped at the end of June. There are obviously some losers starting in July.

Okay...I think I see the disconnect for me.

You're gauging your profitability based on pips gained/loss. That would be accurate if all trades were the same lot size. But you mentioned earlier: "It seems that since the losses are smaller, more leverage can be used."

If you adjust your lot size to the s/l size (something most probably do) then the pip count on your losses may be low, but it will have just as big of a negative impact on your account balance as a large s/l with lower lot size.

So now you have 3 winners and 5 losers. Assuming you have an rr of 2:1 you would have come out slightly ahead on those trades. July wouldn't have been so kind though.

So in this scenario we would be much better off with Hugh's original strat.
  • #259
  • Edited 10:37am Jul 24, 2012 10:23am | Edited 10:37am
Quoting spyderman
Okay...I think I see the disconnect for me.

You're gauging your profitability based on pips gained/loss. That would be accurate if all trades were the same lot size. But you mentioned earlier: "It seems that since the losses are smaller, more leverage can be used."

If you adjust your lot size to the s/l size (something most probably do) then the pip count on your losses may be low, but it will have just as big of a negative impact on your account balance as a large s/l with lower lot size.

So now you have 3 winners and 5 losers....
More leverage could be used with this entry as opposed to the original entry because the average loss in my backtest was smaller and the total pips were larger. I did not take into account leverage or lots in my backtests of the original entry and the new one, just pip count. By the way, this is just an 18 month backtest of one currency pair. More pairs and time periods need to be tested to really show if this is worth doing.
  • #260
  • Jul 24, 2012 11:00am Jul 24, 2012 11:00am
Quoting Wendavol
More leverage could be used with this entry as opposed to the original entry because the average loss in my backtest was smaller and the total pips were larger. I did not take into account leverage or lots in my backtests of the original entry and the new one, just pip count. By the way, this is just an 18 month backtest of one currency pair. More pairs and time periods need to be tested to really show if this is worth doing.

So if I read you, you're saying using higher leverage across the board not adjusting size on a trade by trade basis. I get that.

Will be interesting to see how she comes out.

Gotta say I like the 5 wins no losses though
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